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A Risk Measure Alternative to the Variance

Published online by Cambridge University Press:  29 August 2014

B. Berliner
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Summary

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The qualifications of the semivariance as a useful risk measure are examined and compared to those of the variance. Although on first sight the semivariance may seem more appropriate from the insured's point of view the analysis of this paper leads to a preference for the variance as a risk measure.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 9 , Issue 1-2 , January 1977 , pp. 42 - 58
Copyright
Copyright © International Actuarial Association 1977

References

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